What is this Feeling in my Anus?

Well I have been getting this feeling in my anus for a long time now. It all started when I found out about personal pleasure. I found out you could put lube on your hand and stroke your penis while looking at porn. When you ejaculate, white stuff comes out. But I heard about other ways to pleasure yourself too. Masturbating while shoving your finger up your ***. This always turns me on and gives me the best orgasm, but why do I get this amazing pleasure in my ***? Is my anus like a penis? Can I ever make it orgasm too? I have tried many times but it didn't work.